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Pricing Strategies of Louis Philippe

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Derivatives Pricing: The Classic Collection

Description:    A unique collection of 19 historic papers on quantitative finance

                - including groundbreaking work by Louis Bachelier, Fischer Black, Robert Merton, Robert Engle and
                Bruno Dupire. The papers have been specially selected by Peter Carr, professor at the Courant
                Institute of Mathematical Sciences at NYU and head of quantitative research at Bloomberg

                - A collection of the most influential papers on options pricing and derivatives published over the
                past 100 years - as valuable today as they have ever been

                - Each chapter holds direct examples that remain cornerstones of modern business practice -
                combining leading academic thought with the practical insights of authors with years of shop-floor
                knowledge

                - Peter Carr presents world-famous papers as well some less widely known gems that are
                nonetheless as vital to the subject as a whole

                - Each chapter is highly relevant to financial traders and analysts, and even readers with only a
                basic grasp of the tools of quantitative finance will find this collection an invaluable guide to
                financial engineering

                - Covers option pricing, unified theories of volatility, the theory of speculation, loss probabilities on
                loan portfolios, credit risk models for loan books, barrier options and more

                - The collection is divided into four key sections: Classics, Hidden Gems, Risk Hall of Fame and
                Nobel Prize Winners

                - Includes timeless contributions from the most famous financial thinkers of modern history
                Including: Louis Bachelier, Fischer Black, Robert Merton, Robert Engle, Bruno Dupire and others

                - Provides access to historically important papers you may have been aware of, but have never had
                the chance to read - some papers never previously published in books form

                - Derivatives Pricing conclusively proves that true innovation has no sell-by-date



Contents:       Introduction
                Peter Carr, Bloomberg

                Section 1: Classics

                1 Theory of Speculation
                Louis Bachelier, Deceased

                2 The Pricing of Commodity Contracts
                Fischer Black, Deceased

                3 Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims
                Valuation
                David Heath, University of Illinois; Robert Jarrow, Cornell University and Andrew Morton, Lehman
                Brothers

                4 Changes of Numéraire, Changes of Probability Measure and Option Pricing
                Hélyette Geman, University of Paris Dauphine; Nicole el Karoui, Ecole Polytechnique and Jean-
                Charles Rochet, University of Toulouse
            5 The Market Model of Interest Rate Dynamics
            Alan Brace and Marek Musiela, BNP Paribas and Dariusz Gatarek, Capital Markets Group

            Section 2: Hidden Gems

            6 A Unified Theory of Volatility
            Bruno Dupire, Bloomberg

            7 Arbitrage Pricing with Stochastic Volatility
            Bruno Dupire, Bloomberg

            8 A General Theory of Asset Valuation Under Diffusion State Processes
            Mark B. Garman, Haas Business School

            9 Probability of Loss on Loan Portfolio
            Oldrich Alfons Vasicek, MKMV

            Section 3: Risk Hall of Fame

            10 Quantitative Strategies Research Notes
            Emanuel Derman, Columbia University and Iraj Kani, Martingale Technologies

            11 Pricing with a Smile
            Bruno Dupire, Bloomberg

            12 A Generalised Framework for Credit Risk Portfolio Models
            H. Ugur Koyluoglu, Mercer Oliver Wyman and Andrew Hickman, ERisk

            13 Correlation and Dependence in Risk Management: Properties and Pitfalls
            Paul Embrechts, Alexander McNeil and Daniel Straumann, ETHZ

            14 Barrier Options
            Mark Rubinstein, Haas Business School and Eric Reiner, UBS Warburg

            15 Thinking Coherently
            Philippe Artzner, University of Strasbourg; Freddy Delbaen, Federal Institute of Technology (ETH);
            Jean-Marc Eber, Lexifi Technologies and David Heath, Carnegie Mellon Pittsburgh

            16 Static Simplicity
            Jonathan Bowie and Peter Carr, Bloomberg

            Section 4: Nobel Prize Winners

            17 The Pricing of Options and Corporate Liabilities
            Fischer Black, Deceased and Myron Scholes, Oak Hill Capital

            18 Theory of Rational Option Pricing
            Robert C. Merton, Harvard Business School

            19 Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom
            Inflation
            Robert F. Engle, Stern School of Business



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